When you first log onto Steam, on the upper left should be your game. Right click it, select Properties, then select Verify game cache, see if those files will download. I also am assuming that you haven't downloaded any mods before finishing the movie scene. Also just re-reading your post have you allowed enough time for the full download of Skyrim. It will take a while, there have been very many updates, and not all will be on a disk. Not even sure if full game is there, it has to be downloaded from Steam I beleive.